David Koechner attends the Light Up The Blues Concert at The Theatre At Ace Hotel on April 5, 2014 in Los Angeles.

David Koechner attends the Light Up The Blues Concert at The Theatre At Ace Hotel on April 5, 2014 in Los Angeles. (Photo by Imeh Akpanudosen/Getty Images for LUTB)

You don't spend nearly a decade in Chicago pursuing a career in improv comedy without working a couple of jobs to sustain yourself — just ask David Koechner.

The actor and comedian best known as Champ Kind in the “Anchorman” films and Todd Packer in NBC's “The Office” worked at the now-closed Bennigan's in Presidential Towers and at a Bob Evans in the suburbs, where he ate as much as he could for free because all he had waiting for him at home was carrots, spaghetti and peanut butter. Koechner said he especially enjoyed his gig at Off Track Betting in the Loop. He it said it provided him with plenty of comedic inspiration because of all the interesting characters he came across.

And then there was the job he auditioned for but didn't get.

“I once auditioned for a singing telegram company,” Koechner said in a recent phone conversation from his home in the Los Angeles area. “I can't carry a tune. I just figured it was a wonderful way of making money — performing all day. I sang (‘The Christmas Song' by Nat King Cole). I should have chosen something funny to not make it so much about the singing. But it all worked out in the end.”

Koechner has built an impressive comedy resume since leaving Chicago for a short-lived stint on NBC's “Saturday Night Live” in New York. In addition to both “Anchorman” movies, the Missouri native has appeared in the hit comedies “Austin Powers: The Spy Who Shagged Me,” “The 40-Year-Old Virgin” and “Talladega Nights.” He can be seen in a much darker role in “Cheap Thrills,” where his twisted character takes advantage of two men hard up for cash by offering them money to go through with repulsive dares.

“Cheap Thrills” hits Chicago theaters Friday — the same day Koechner is set to perform at Park West.

Koechner took up stand-up comedy around four years ago, he said, because of the emphasis these days on branding and creating content. And because, as he pointed out, he has a wife and five kids at home to support.

“I wish I'd done it sooner,” said Koechner, who will throw out the first pitch and sing the 7th inning stretch Thursday at Wrigley Field, about stand-up comedy. “When you do improv, it becomes your religion — almost cultish. … There was a prejudice against stand-ups. I believed it would hurt my work if I did stand-up. My goal at the time was just Second City. I wish I had gone up and tried it.”

Don't expect Koechner to riff on politics or religion in his stand-up routine. He prefers to focus on what he considers to be more universal subjects, including marriage and family — while also mixing in characters he created. There are also references to the films he's made.

Asked if his children have seen his films, Koechner said his 15-year-old son, Charlie, brought his 7-year-old son, Sargent, to see “Anchorman 2.” “(Sargent) came home and said ‘Dad, I didn't get it,'” Koechner said. “He was so honest about it. It was so funny.” Koechner admitted he will occasionally resort to name-dropping to impress his kids. The results have varied. “I'll say ‘I worked with that person,'” Koechner said. “Only one, Margot, pretends it bothers her: ‘I know, Dad. You don't have to say that.'”

Fortunately for Koechner, he was able to call in the big guns to win over the 12-year-old Margot: One Direction.

“She has at least 272 pictures of One Direction on her walls,” Koechner said. “I did a guest appearance on ‘SNL' when Paul Rudd was hosting, and One Direction was the musical guest. I had my daughter come with my assistant. We were there in Will Ferrell's dressing room and at some point brought in One Direction to rehearse (our) ‘Afternoon Delight' (collaboration). We rehearsed for 20 minutes and then I told the guys ‘Don't move' and put Margot next to them and took pictures.

“I asked her the next day what she was thinking when that happened. She said she was trying not to cry. On the inside, she was beside herself. That's about the coolest feeling ever (for a dad). That's why I love show business. Stuff like that gets to happen.”